Sun, Mar 25, 2018
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers April 2012

Peter Urbani' Statistics
Peter Urbani's quantitative analysis of emerging managers' performance


Performance Drivers of the Opalesque Emanagers Index

This month we examine the performance drivers of the Emerging Managers Index by treating it as if it were a portfolio or fund of funds and performing an attribution analysis on the constituent sub-indices mapped to the Dow Jones Credit Suisse Hedge Fund Strategies.

The results are instructive and give a fairly clear indication as to where the excess performance of the Emanagers Index has come from.

Over the 3.25 year period since Jan 2009 the Emanagers index has delivered a +14.7% compound annual return (CAGR ) versus the +8.91% of the benchmark Dow Jones Credit Suisse Blue Chip Hedge Fund Index.

To the extent that the Index is a semi-passive portfolio whose Strategy Asset Allocation is largely determined by market forces one might expect that there would be a significant Allocation or market timing effect driving returns. However, this is not the case for the Emanagers Index and the allocation effects relative to the benchmark portfolio are in fact -1.74% p.a. This probably reflects the lagged momentum effect of new funds being launched in recently strong performing areas.

In contrast the Selection effect is +4.18% p.a. suggesting a high quality of funds coming into the index and that it is not merely dominated by past winners.

The Emanagers index has significantly higher weightings to Managed Futures ( 30.4% v.s. 16.4), Equity L/S ( 33.9% v.s. 15.9%) and significantly lower weightings in Event Driven ( 3.5% v.s. 21.4%) and Emerging Markets ( 0% ) and Convertible Arbitrage.


Emerging Manager Strategy weights versus Benchmark


To view our full article please login

This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
New Managers
New Managers
New Managers

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. John Paulson, once the industry's largest hedge fund, to return some investors' money[more]

    Komfie Manalo, Opalesque Asia: John Paulson is reported to be retuning some of his investors' money as a number of his hedge funds continue to suffer setbacks, reports

  2. Institutional Investors - Overdrawn pension fund scores gains[more]

    From Investments in big banks, pawn shops and rolling papers helped boost public safety workers' underfunded pensions this past calendar years, according to newly released figures. After recording middling returns in recent years, the Police & Fire Pension Fund (P&F) notched

  3. Activist Investors - The seven most undervalued stocks in Larry Robbins' portfolio, Stamford hedge fund still seeking shakeup of Taubman board[more]

    The seven most undervalued stocks in Larry Robbins' portfolio From ...On February 14th, Larry Robbins' firm Glenview Capital Management filed its quarterly Form 13F regulatory filing. The firm's stock portfolio totals $18.5 billion with 58 positions according to the latest

  4. Hot hedge fund loses 21% after bet on volatility goes wrong[more]

    From In December, Shahraab Ahmad shared with his hedge fund clients the principle that helped him trounce peers for two turbulent decades: steer clear of the crowd. He'd turned $50 million into an operation with more than $700 million over three years and delivered market-beating retu

  5. Opalesque Exclusive: Northern Trust builds on blockchain-backed private equity solution[more]

    Bailey McCann, Opalesque New York: Private equity clients at Northern Trust can now carry out audits of private equity lifecycle events directly from the blockchain. Northern Trust, working with PwC and other audit firms in Guernsey, has added this feature to its existing solution set for private